Continuous time control of Markov processes on an arbitrary state space: Average return criterion

Bharat T. Doshi

Stochastic Processes and their Applications, 1976, vol. 4, issue 1, 55-77

Abstract: The paper deals with continuous time Markov decision processes on a fairly general state space. The economic criterion is the long-run average return. A set of conditions is shown to be sufficient for a constant g to be optimal average return and a stationary policy [pi]* to be optimal. This condition is shown to be satisfied under appropriate assumptions on the optimal discounted return function. A policy improvement algorithm is proposed and its convergence to an optimal policy is proved.

Keywords: continuous; time; Markov; decision; processes; optimal; average; return; function; optimal; policy (search for similar items in EconPapers)
Date: 1976
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Citations: View citations in EconPapers (2)

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